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Portfolio selection problem under uncertainty and risk

Posted on:2010-03-19Degree:M.SType:Thesis
University:Clemson UniversityCandidate:Nowak, DimitriFull Text:PDF
GTID:2449390002488015Subject:Mathematics
Abstract/Summary:
The purpose of this research is the investigation of a portfolio problem in an uncertain environment. Given possible investments with random performance depending on uncertain environmental settings the objective is to establish a methodology for construction of a portfolio which is non-dominated with respect to second order stochastic dominance and whose return distribution is preferable for a least risk decision maker.
Keywords/Search Tags:Portfolio
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